Here at the university surprisingly few people know about
Boost, one of the probably most useful C++
libraries ever written (actually, it's a collection of libraries). If
you never used it, give it a try. And if you're to lazy to read the
"Getting started"
document or you want a really brief start document, read on. (Or if
Boost.Build refuses to build after you installed the latest DirectX SDK)
This is a very brief guide how to get Boost running as fast as possible.
I assume you have at least the following:

Windows XP

Visual Studio .NET 2003 (maybe 6.0 & 7.0 too)

Basic knowledge of Windows :)

Python in case you want to build the complete Boost library (this is
what I describe here)

I also recommend you to get the "Command Here"
Powertoy,
it allows you to open a command line by right-clicking on a folder and
selecting "Open command window here" which will be very handy :)

Preparation

First of all you need to obtain Boost of course. In case you're not sure
what to take choose the Windows Exe (the current version is:
boost_1_33_0.exe), it's a sfx 7zip archive. Extract it to a drive
where you have at least 3Gb of free space (I suppose you want to
build all of it). Don't laugh, Boost takes quite a lot of space, the
compiled binaries including all header files (compiled with 7.1, all in
all around 3.5k files) take up 1,23 GB (1.323.074.806 Bytes) on my
computer. You need to build Boost.Build first, which will compile the
rest of Boost for you. Boost.Build is a modified version of the Jam
build tool. Hence, you'll find it under /tools/build/jam_src. There it
is, build.bat. For some reasons this build script does not work on my
computer anymore (it used to work last month) - just after I installed
the DirectX 9.0 SDK (October). The problem lies in the PATH
environment variable. The DirectX SDK Installer added (in my case)
F:\Visual Studio .NET 2003\Documentation\DirectX 9 SDK (October 2005)\Utilities\Bin\x86
- the braces around October caused the build script to fail. In such
cases you can still get a precompiled
binary
(or you remove the DirectX SDK from Path). Copy the bin.ntx86\bjam.exe
into the topmost directory of your Boost folder.

Compiling

Now, you need to "install" Boost. When installing Boost, you have
several choices, I recommend you to specify a "Temp" directory in which
Boost will put the object files, and a "Install" directory where it will
put in the *.lib, *.dll and *.h files. Instead of talking about the
options (you can read them for yourself) here my build_boost.bat which
I use without modifications since Boost 1.3:
bjam "--prefix=F:\C++\Boost" "--builddir=F:\C++\Temp\Boost" "--with-python-root=C:\Python24" "-sPYTHON_VERSION=2.4" "-sVC71_ROOT=F:\Visual Studio .NET 2003\Vc7" "-sTOOLS=vc-7_1" install
Replace --prefix with the directory that should contain the clean
Boost binaries and headers, --builddir with the temporary directory,
--python-root with your Python root (how surprising :)) and
VC71_ROOT with the directory to Visual Studio 2003 (use VC7_ROOT for
Visual Studio 7 and MSVC_ROOT in case you use 6.0). TOOLS will be
vc-7_1 for 7.1, vc7 for 7.0 and msvc for 6.0. That should be
enough to get you started, be patient, the compiling will take some
time. Have fun with Boost! In case you have questions don't wait and
comment :)